We are pleased to have Prof Alexandra Chronopoulou give a Seminar on her research. Grad students get a seminar credit and coffee will be served.
When: 5pm, Wednesday, Nov 30th.
Where: Tb 303
Long Memory and Roughness in Stochastic Volatility Models
Long memory stochastic volatility (LMSV) models have been used to explain the persistence of volatility in the market, while rough stochastic volatility (RSV) models have been shown to reproduce statistical properties of low frequency financial data. The goal of this talk is to propose a general methodology for the estimation of the parameters of the above models, the filtering of the volatility process, and the calibration of the dependence parameter, which will then be applied to the option pricing on the S&P 500 index.